The escort is the country “politely” saying, “You are not allowed to be here and you need to leave – and we are going to make sure you do.” They don’t want to shoot the plane/ship down outright as that might spark a war, but they do want to make it clear that the presence of the plane/ship is not welcome. By escorting the plane/ship back outside their territory, they can keep tabs on it and make sure it actually _does_ leave without doing whatever it came there to do.
A plane or ship warned to leave, given an escort, and then shot down because it refused to follow the order to leave sovereign space is _much_ more well received by the international community than just shooting it down outright.
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